全球经济不确定性与美国的外溢效应——基于大数据方法分析的实证研究

Global Economic Uncertainty and USA’Spillover Effects——Empirical Research Based on Big Data Analysis

本文运用Jurado et al.(2015)所提出的测度经济不确定性的方法,使用全球17个主要国家的524个经济变量构建出经济不确定性指数。通过与Baker et al.(2016)基于文本分析法所构建的经济政策不确定性指数进行对比分析发现,经济政策不确定性指数的波动性明显较大,且与政治事件的联系更密切,而经济不确定性指数更多地与经济事件相关联。本文运用GVAR模型来研究经济不确定性的外溢效应。GVAR模型的脉冲结果表明,美国经济不确定性的增加不仅会导致本国产出、股价和通货膨胀的下降,而且也会对全球其他国家的产出、股价和通货膨胀产生负向影响,并且负向外溢效应具有明显的异质性特征。

This paper uses the method proposed by Jurado et al.(2015)to construct economic uncertainty indexes of 17 major countries around the world using 524 economic variables.By comparing with the economic policy uncertainty indexes constructed by Baker et al.(2016)using the text analysis method,the results show that the economic policy uncertainty indexes are significantly more volatile and more closely related to political events while the economic uncertainty indexes are more related to economic events.This paper uses the GVAR model to study the spillover effects of economic uncertainty.The impulse response results of the GVAR model show that an increase in the uncertainty of the USA’s economy will not only lead to a decline in domestic production,stock prices,and inflation,but also have a negative impact on the output,stock prices,and inflation of other countries around the world.Thus,the uncertainty of the USA’s economy has a significant negative spillover effect,and the negative effect has obvious heterogeneous characteristics.